This process was covered for Tiger in this hint, but things have changed in Leopard; it's now a bit easier:
That's it! The icon will appear nicely in Leopard.
- Paste your icon (in the Get Info window) onto a USB thumb drive formatted as FAT32. The name of the drive doesn't matter.
- Launch Windows through Boot Camp, Parallels Desktop, or VMware Fusion.
- Open the thumb drive in Windows.
- Select Folder Options… from the Tools menu, and set it to show invisible files.
- Copy the two files .VolumeIcon.icns and ._[cr]File, where [cr] is a carriage return, to the NTFS drive.